Stock Returns, Dividend Yields, and Taxes

Using an improved measure of a common stock's annualized dividend yield, we document that risk-adjusted NYSE stock returns increase in dividend yield during the period from 1963 to 1994. This relation between return and yield is robust to various specifications of multifactor asset pricing mode...

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Bibliographic Details
Published in:	The Journal of finance (New York) Vol. 53; no. 6; pp. 2029 - 2057
Main Authors:	Naranjo, Andy, Nimalendran, M., Ryngaert, Mike
Format:	Journal Article
Language:	English
Published:	Boston, USA and Oxford, UK Blackwell Publishers, Inc 01-12-1998 Blackwell Publishers Inc
Subjects:	Asset pricing Capitalism Coefficients Common stock Dividends Economic models Financial portfolios Fiscal policy Income tax Income taxes Municipal taxes Regression analysis Stock dividends Stock exchanges Stock prices Stock returns Stock yields Studies Tax rates Volatility Yield United States > US
Online Access:	Get full text
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Summary:	Using an improved measure of a common stock's annualized dividend yield, we document that risk-adjusted NYSE stock returns increase in dividend yield during the period from 1963 to 1994. This relation between return and yield is robust to various specifications of multifactor asset pricing models that incorporate the Fama-French factors. The magnitude of the yield effect is too large to be explained by a "tax penalty" on dividend income and is not explained by previously documented anomalies. Interestingly, the effect is primarily driven by smaller market capitalization stocks and zero-yield stocks.
Bibliography:	istex:22AA561010EAF5567837E451CED879F7878D0017 ArticleID:JOFI82 ark:/67375/WNG-859RPFJD-N ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23
ISSN:	0022-1082 1540-6261
DOI:	10.1111/0022-1082.00082